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Alternative Market Briefing

A new take on global macro launches as investors take a second look at the strategy

Monday, April 30, 2018

Bailey McCann, Opalesque New York for New Managers:

Market volatility is back and some managers are taking advantage. New York-based Inyo Capital says now is the ideal time to launch its global macro strategy, as recent swings in the market have created new opportunities.

Inyo CIO Stephen Morton, a veteran of Salomon Brothers, Blackstone, and Natixis, first started building the strategy in 2000 with Wei Peng, Inyo's portfolio manager and head of quantitative research. "What we wanted to do was focus on building the next generation of global macro," Morton tells Opalesque New Managers. "We've been able to put more consistency and precision into our process so we have better data about what's going on in the market and that in turn gives us the ability to make more informed investment decisions. "

Since then the team has been running its strategy in-house, only recently opening it to outside investors.

Inyo's strategy trades rates, equity indices, currencies, and commodities primarily relying on futures for all asset classes. The portfolio typically has about 30 positions, each with a horizon of 1-2 months. According to Morton, the strategy is effectively a quantitative take on global macro. Morton and Peng identify pricing dislocations using quantitative methodologies and create portfolios accordingly. The portfolios are also designed with divers......................

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